Instructions
Insert the Memory Stick into the "Memory" slot on the PSP. Connect the PSP to your computer using the USB sync cable.
Scroll to the "Settings" submenu on the PSP main menu (XMB) and select "USB Connection." Your PC will detect the PSP and Memory Stick. The autorun window will open.
Click "Open folder to view files." A new folder containing all the content on the PSP and Memory Stick will open.